Abel/Noser relaunches monthly liquidity analysis

Abel/Noser relaunches monthly liquidity analysis

Abel/Noser has re-launched its monthly liquidity analysis that provides investors with trading information.

Going forward, this report will be made available 10 days after the end of the month and will outline the top 20 liquidity figures for the month.

“Given today’s market volatility, it is vital that investors are provided with timely insights into what trends are actually impacting the trading environment,” says Bill Conlin, chief executive of Abel/Noser. “Often on Wall Street, brokers and other vendors tout the speed at which they can transact equity trades. With ‘nanoseconds’ and ‘latency’ being the buzz words, it may lead people to believe that thousands of stocks are trading at the speed of light all day every day, which is simply not the case.”

Abel/Noser’s analysis provides the following insights on how stocks trade:

• About 13,000 equity issues were traded in the US during May 2013; this included ETFs and individual company stocks.
• The ten most liquid names made up 19 per cent of all dollars traded.
• The twenty-three most liquid stocks traded 25 per cent of the average daily dollars in the US market
• The 143 most liquid names represented 50 per cent of all equity dollars traded.
• The 523 most liquid stocks account for 75 per cent of all dollars traded in US equity markets.

“Of all of the names in our liquidity analysis, on average only 184 trade one time or more per second, with the largest (SPY) trading six times per second and the second largest three times per second,” says Conlin. “Given that less than two per cent of US equities are even subject to high-frequency trading, the investor community should focus more on efficient and cost-effective trade execution instead of low-latency.”

Aside from discrepancies when it comes to speed, share size is also commonly misunderstood. There are very few stocks with an average trade size of greater than 400 shares. Once one is below the stock ranked 143 in average daily trading values in dollars, the average trade size drops to below 300 shares per trade.